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Hedging of Game Options under Model Uncertainty in Discrete Time

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  • Yan Dolinsky

Abstract

We introduce a setup of model uncertainty in discrete time. In this setup we derive dual expressions for the super--replication prices of game options with upper semicontinuous payoffs. We show that the super--replication price is equal to the supremum over a special (non dominated) set of martingale measures, of the corresponding Dynkin games values. This type of results is also new for American options.

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  • Yan Dolinsky, 2013. "Hedging of Game Options under Model Uncertainty in Discrete Time," Papers 1304.3574, arXiv.org.
  • Handle: RePEc:arx:papers:1304.3574
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    File URL: http://arxiv.org/pdf/1304.3574
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    Cited by:

    1. Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and duality in nondominated discrete-time models," Papers 1305.6008, arXiv.org, revised Mar 2015.
    2. Erhan Bayraktar & Yu-Jui Huang & Zhou Zhou, 2013. "On hedging American options under model uncertainty," Papers 1309.2982, arXiv.org, revised Apr 2015.

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